def execute_order(self, event):
# mock a fill at current bid ask
if event.side == 'buy':
fill = FillEvent(time.time(), event.instrument,
'buy', event.units,
'', self.ask,
0)
else:
fill = FillEvent(time.time(), event.instrument,
'sell', event.units,
'', self.bid,
0)
return fill
def execute_order(self, event):
if event.type == 'ORDER':
fill_event = FillEvent(datetime.datetime.utcnow(), event.symbol,
'ARCA', event.quantity, event.direction,
None)
self.events.put(fill_event)
def stream_to_queue(self):
response = self.connect_to_stream()
if response.status_code != 200:
return
for line in response.iter_lines(1):
if line:
try:
dline = line.decode('utf-8')
msg = json.loads(dline)
except Exception as e:
self.logger.error(
"Caught exception when converting message into json: %s"
% str(e))
return
if msg['type'] == 'order_fill':
self.logger.debug(msg)
timestamp = msg['time']
ticker = msg['instrument']
side = msg['side']
quantity = msg['units']
price = msg['price']
# commission
# Create fill event
fev = FillEvent(timestamp, ticker, side, quantity, price)
self.events_queue.put(fev)
def _cross(self, order, last_bar, curr_bar):
traded = False
if order.direction == LONG:
if order.open_or_close == OPEN:
if order.price >= curr_bar.low_ask_price1 and curr_bar.low_ask_price1 > 0 and order.price < last_bar.close_ask_price1:
# cannot buy at limit up
# 下降趋势
traded = True
elif order.open_or_close == CLOSE:
if order.price >= curr_bar.low_ask_price1 and order.price <= curr_bar.high_ask_price1:
traded = True
elif order.direction == SHORT:
if order.open_or_close == OPEN:
if order.price <= curr_bar.high_bid_price1 and order.price > last_bar.close_bid_price1:
# 上升趋势
traded = True
elif order.open_or_close == CLOSE:
if order.price >= curr_bar.low_bid_price1 and order.price <= curr_bar.high_bid_price1:
traded = True
if traded:
return FillEvent(
symbol=order.symbol,
datetime=curr_bar.datetime,
price=order.price,
quantity=order.quantity,
direction=order.direction,
open_or_close=order.open_or_close,
trade_id=order.trade_id,
)
return None
def execute_order(self, event):
# converts Order objects into Fill objects
if event.type == 'ORDER':
fill_event = FillEvent(datetime.datetime.utcnow(), event.symbol,
'ARCA', # ARCA is the exchange we get the data from
event.quantity, event.direction, None)
self.events.put(fill_event)
def create_fill(self, msg):
"""
Handles the creation of the FillEvent that will be
placed onto the events queue subsequent to an order
being filled.
"""
fd = self.fill_dict[msg.orderId]
# Prepare the fill data
symbol = fd["symbol"]
exchange = fd["exchange"]
filled = msg.filled
direction = fd["direction"]
fill_cost = msg.avgFillPrice
# Create a fill event object
fill = FillEvent(dt.utcnow(), symbol, exchange, filled, direction,
fill_cost)
# Make sure that multiple messages don't create
# additional fills.
self.fill_dict[msg.orderId]["filled"] = True
# Place the fill event onto the event queue
self.events.put(fill_event)
def execute_order(self, event):
if event.type == 'ORDER':
if self.verbose:
print("Order Executed:", event.symbol, event.quantity,
event.direction)
fill_event = FillEvent(datetime.utcnow(), event.symbol, 'ARCA',
event.quantity, event.direction, 0)
self.events.put(fill_event)
def send_order(self, order, send_time):
reach_time = send_time + self.calculate_latency(order, send_time)
sign = [1, -1][order.direction == "SELL"]
quantity = sign * self.calculate_fill_quantity(order, reach_time)
cost = sign * self.calculate_fill_cost(order, reach_time)
# will need to figure out how the fills and orders work for each exchange
fe = FillEvent(reach_time, order.symbol, order.exchange,
order.order_type, quantity, cost)
self.queue.put(fe)
def test_order_recording(port):
print(port.current_orders)
o0 = Order(sym, "BitMEX", "LMT", "SELL", 10, 7300)
o1 = Order(sym, "BitMEX", "LMT", "SELL", 15, 7300)
o2 = Order(sym, "BitMEX", "LMT", "SELL", 15, 7301)
port.record_order(o0, pd.Timestamp.utcnow())
port.record_order(o1, pd.Timestamp.utcnow())
port.record_order(o2, pd.Timestamp.utcnow())
print(port.current_orders)
f0 = FillEvent(pd.Timestamp.utcnow(), sym, "BitMEX", "MKT", 5, 7300)
f1 = FillEvent(pd.Timestamp.utcnow(), sym, "BitMEX", "MKT", 10, 7300)
f2 = FillEvent(pd.Timestamp.utcnow(), sym, "BitMEX", "MKT", 10, 7300)
port.update_fill(f0)
print(port.current_orders)
port.update_fill(f1)
print(port.current_orders)
port.update_fill(f2)
print(port.current_orders)
def execute_order(self, event):
"""
简单的讲订单对象自动转化为成交对象，不考虑时延，滑价以及成交
比率的影响
"""
if event.type == 'ORDER':
fill_event = FillEvent(datetime.datetime.utcnow(), event.symbol,
'ARCA', event.quantity, event.direction,
None)
self.events.put(fill_event)
def _cross(self, order, last_bar, curr_bar):
return FillEvent(
symbol=order.symbol,
datetime=curr_bar.datetime,
price=order.price,
quantity=order.quantity,
direction=order.direction,
open_or_close=order.open_or_close,
trade_id=order.trade_id,
)
def execute_order(self, event):
""" Simply converts Order objects into Fill objects naively,
i.e. without any latency, slippage or fill ratio problems.
:param event:Contains an Event object with order information.
:return:
"""
if event.type == 'ORDER':
fill_event = FillEvent(datetime.datetime.utcnow(), event.symbol,
'ARCA', event.quantity, event.direction,
None)
self.events.put(fill_event)
def execute_order(self, event):
"""
for testing there is no slipage or fees to start
"""
fill = FillEvent(
symbol=event.symbol,
quantity=event.quantity,
direction=event.direction,
fill_cost=None,
)
self.events.put(fill)
def execute_order(self, event):
"""
Parametri:
event - Contiene un oggetto Event con le informazioni dell'ordine.
"""
if event.type == 'ORDER':
fill_event = FillEvent(
datetime.datetime.utcnow(), event.symbol,
'OANDA', event.quantity, event.direction, None, event.commission
)
self.events.put(fill_event)
def execute_order(self,event):
"""
简单地将order转换为fill
没有考虑任何其他因素，滑点，以及交易费用
timeindex,symbol,exchange,quantity,direction,fill_cost,comission=None
"""
if event.type=="ORDER":
fill_event=FillEvent(datetime.datetime.utcnow(),event.symbol,'ARCA',
event.quantity,event.direction,0,0)
print("execution.py put FILL")
self.events.put(fill_event)
def execute_order(self, event):
"""
Simply converts Order objects into Fill objects naively
:param event: Event; OrderEvent.
"""
if event.type == 'ORDER':
fill_event = FillEvent(datetime.datetime.utcnow(), event.symbol,
'ARCA', event.quantity, event.direction,
None)
self.events.put(fill_event)
def execute_order(self, event):
"""
Просто наивно конвертирует объекты Order в объекты Fill, то есть не учитывается задержка, проскальзывание или количество акций в приказе, которые можно купить/продать по заданной цене.
Параметры:
event - Содержит объект Event с информацией о приказе.
"""
if event.type == 'ORDER':
fill_event = FillEvent(event.timeindex, event.symbol,
'ARCA', event.quantity, event.direction, None)
self.events.put(fill_event)
def execute_order(self, event):
"""
Simply converts all order objects into fill objects without consideration of : latency, slippage, and fill-ratio issues
:param event - Order event object
:return:
"""
if event.type == 'ORDER':
fill_event = FillEvent(datetime.datetime.utcnow(), event.symbol,
'ARCA', event.quantity, event.direction,
None)
self.events.put(fill_event)
def execute_order(self, event):
"""
"""
if event.type == 'ORDER':
#event.print_order()
fill_event = FillEvent(datetime.datetime.utcnow(), event.symbol,
'ARCA', event.quantity, event.direction,
event.quantity * 6.8, event.price, None)
self.event.put(fill_event)
def generate_fill_event(self, order):
"""
Acts on an OrderEvent to generate new FillEvent.
"""
timeindex = order.datetime
symbol = order.symbol
quantity = order.quantity
direction = order.direction
price = order.price
fill = FillEvent(timeindex, symbol, quantity, direction, price)
return fill
def execute_order(self, event):
"""
Simply converts Order objects into Fill objects naively,
i.e. without any latency, slippage or fill ratio problems.
Parameters:
event - Contains an Event object with order information.
"""
if event.type == 'ORDER':
print event.print_order()
fill_event = FillEvent(event.bar[0], event.symbol,
event.exchange, event.quantity, event.direction, event.quantity * event.bar[6], commission=10)
self.events.put(fill_event)
def execute_order(self, event):
"""
Convert Order objects into Fill objects
Parameter:
event - Event object with order information
* Using ARCA as the exchange here as a place holder
"""
if event.type == 'ORDER':
fill_event = FillEvent(datetime.datetime.utcnow(), event.symbol,
'ARCA', event.quantity, event.direction, event.position_change,
None)
self.events.put(fill_event)
def execute_order(self, event):
"""
Simply converts Order objects into Fill objects naively,
i.e. without any latency, slippage or fill ratio problems.
Parameters:
event - Contains an Event object with order information.
"""
if event.type == 'ORDER':
fill_event = FillEvent(
self.bars.get_latest_bars(event.symbol)[0][1], event.symbol,
'OKEx', event.quantity, event.direction,
self.bars.get_latest_bars(event.symbol)[0][5])
self.events.put(fill_event)
def execute_order(self, event):
"""
Simply converts Order objects into Fill objects naively,
i.e. without any latency, slippage or fill ratio problems.
Parameters:
event - Contains an Event object with order information.
"""
if event.type == 'ORDER':
#(self, timeindex, symbol, order_type, quantity,price, direction)
fill_event = FillEvent(datetime.datetime.utcnow(), event.symbol,
event.order_type,event.quantity,event.price,event.direction)
self.events.put(fill_event)
def test_convert_fill_to_portfolio_update_basic_check(self):
"""
Test the "_convert_fill_to_portfolio_update" method
as a basic sanity check.
"""
fill_event_buy = FillEvent(datetime.datetime.utcnow(), "MSFT", "BOT",
100, "ARCA", Decimal("50.25"),
Decimal("1.00"))
self.portfolio_handler._convert_fill_to_portfolio_update(
fill_event_buy)
# Check the Portfolio values within the PortfolioHandler
port = self.portfolio_handler.portfolio
self.assertEqual(port.cur_cash, Decimal("494974.00"))
def execute_order(self, event):
"""
Simply converts Order objects into Fill objects in a naive manner (no
market movement/slippage risk, fill ratio, or other execution
commonalities).
Parameters:
event - Contains an Event object with order information
"""
if event.type == 'ORDER':
fill_event = FillEvent(dt.datetime.utcnow(), event.symbol, 'ARCA',
event.quantity, event.direction, None)
self.events.put(fill_event)
def execute_order(self, event):
"""
简易成交
Parameters:
event - Contains an Event object with order information.
"""
if event.type == 'ORDER':
fill_event = FillEvent(datetime.datetime.utcnow(),
event.symbol,
'某交易所',
event.quantity,
event.direction,
None,
commission=1.5)
self.events.put(fill_event)
def execute_order(self, event):
"""
Simply converts Order objects into Fill objects naively,
i.e. without any latency, slippage or fill ratio problems.
Parameters:
event - Contains an Event object with order information.
"""
if event.type == 'ORDER':
# TODO: rewrite the fill_cost option
fill_event = FillEvent(datetime.datetime.utcnow(),
event.symbol,
'ARCA', event.quantity,
event.direction) # fill_cost=0, commission=None
self.events.put(fill_event)
def execute_order(self, event):
"""
Simply converts Order objects into Fill objects naively,
i.e. without any latency, slippage or fill ratio problems.
Parameters:
event - Contains an Event object with order information.
"""
#TODO: add event.type Order target price reached
# below simply suppose order filled on recevicing order event
if event.type == 'ORDER':
fill_event = FillEvent(event.datetime, event.symbol, 'SHSZ',
event.quantity, event.direction,
event.price)
self.events.put(fill_event)
def execute_order(self, event):
"""
Simply converts Order objects into Fill objects naitvely, i.e., without any latency, slippage or fill ratio problems.
Parameters:
event - Contains an Event object with order information.
"""
if event.type == 'ORDER':
fill_event = FillEvent(timeindex=dt.datetime.utcnow(),
symbol=event.symbol,
exchange='N/A',
quantity=event.quantity,
direction=event.direction,
fill_cost=None,
commission=None)
self.event_queue.put(fill_event)
